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Pricing credit default swap under fractional Vasicek interest rate model

Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20

Persistent link: https://www.econbiz.de/10010422093

Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

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Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...

Persistent link: https://www.econbiz.de/10013441427

Spread term structure and default correlation

Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223

Persistent link: https://www.econbiz.de/10011592744

Valuation of a credit default swap: the stable non-Gaussian versus the Gaussian approach

D'Souza, Dylan; Amir-Atefi, Keyvan; Racheva-Jotova, Borjana - In: Credit risk : measurement, evaluation and management ; …, (pp. 49-84). 2003

Persistent link: https://www.econbiz.de/10002001435

Credit derivatives pricing with stochastic volatility models

Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10009779780

New model for pricing quanto credit default swaps

Itkin, A.; Shcherbakov, V.; Veygman, A. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10012019847

Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123

Persistent link: https://www.econbiz.de/10011765022

Credit derivative valuation and parameter estimation for multi-factor affine CIR-type hazard rate model

Maboulou, Alma P. Bimbabou; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 3, pp. 273-285

Persistent link: https://www.econbiz.de/10011438513

Credit Derivative Pricing with Stochastic Volatility Models

Chiarella, Carl - 2012

credit swap rates can be approximated by defaultable bond prices with varying maturities. A sensitivity analysis capturing … the impact of the model parameters including correlations and stochastic volatility, on the credit swap rate and the value …

Persistent link: https://www.econbiz.de/10013098979

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